Financial Machine Learning

159 Pages Posted: 13 Jul 2023

See all articles by Bryan T. Kelly

Bryan T. Kelly

Yale SOM; AQR Capital Management, LLC; National Bureau of Economic Research (NBER)

Dacheng Xiu

University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Date Written: July 1, 2023

Abstract

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping machine learning tools, as well as for statisticians and machine learners seeking interesting financial contexts where advanced methods may be deployed.

Keywords: Finance, machine learning, ai, artificial intelligence, returns, return prediction, factor model, portfolio choice

JEL Classification: C1, G1, C4, C5, C3

Suggested Citation

Kelly, Bryan T. and Xiu, Dacheng, Financial Machine Learning (July 1, 2023). Available at SSRN: https://ssrn.com/abstract=4501707 or http://dx.doi.org/10.2139/ssrn.4501707

Bryan T. Kelly (Contact Author)

Yale SOM ( email )

135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Dacheng Xiu

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

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